She is being his conscience. Read her book Adios America. She is goading him because she knows the danger of failing to build the wall, and that Trump responds to such criticism.
IMO, she has not given up on him, but is trying to drive him to fulfill his most important promise. The implications of illegal immigration are vast and if not stopped, all his deregulation and other achievements will be undone quickly.
She is not wrong. She is just cheerleading for the most important part of his presidency. (And face it, she would look dam good in a cheerleader outfit).